Preface
Part I. How and Why Do Prices Move?:
1. The ecology of financial markets
2. The statistics of price changes: an informal primer
Part II. Limit Order Books: Introduction:
3. Limit order books
4. Empirical properties of limit order books
Part III. Limit Order Books: Models:
5. Single-queue dynamics: simple models
6. Single-queue dynamics for large-tick stocks
7. Joint-queue dynamics for large-tick stocks
8. The Santa Fe model for limit order books
Part IV. Clustering and Correlations:
9. Time clustering and Hawkes processes
10. Long-range persistence of order flow
Part V. Price Impact:
11. The impact of market orders
12. The impact of metaorders
Part VI. Six Market Dynamics at the Micro-scale:
13. The propagator model
14. Generalised propagator models
Part VII. Adverse Selection and Liquidity Provision:
15. The Kyle model
16. The determinants of the bid–ask spread
17. The profitability of market making
Part VIII. Market Dynamics at the Meso-scale:
18. Latent liquidity and Walrasian auctions
19. Impact dynamics in a continuous-time double auction
20. The information content of prices
Part IX. Practical Consequences:
21. Optimal execution
22. Market fairness and stability
23. Appendices
Index.
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